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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

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  • Chiarella, Carl
  • El-Hassan, Nadima
  • Kucera, Adam

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  • Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    • Handle: RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1387-1424
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    References listed on IDEAS

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    1. Jing-Zhi Huang & Marti G. Subrahmanyam & G. George Yu, 1999. "Pricing And Hedging American Options: A Recursive Integration Method," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 8, pages 219-239, World Scientific Publishing Co. Pte. Ltd..
    2. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    3. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Eydeland, Alexander, 1996. "A Spectral Algorithm for Pricing Interest Rate Options," Computational Economics, Springer;Society for Computational Economics, vol. 9(1), pages 19-36, February.
    5. Eydeland, A, 1994. "A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 277-285.
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